6 citations · 30 across the 63 of their papers we have counts for
7 papers · 1 filter
Preference-fitting Framework: Elicited Utility Function and PHARA Approximation
Rui Dai, Zongxia Liang, Yang Liu
The utility function plays a core role in portfolio selection, but its specific form is typically hard to elicit. We propose a definition of the elicited utility function and devel…
Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
Yue Cao, Zongxia Liang, Sheng Wang +1
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective…
N-player and mean field games among fund managers considering excess logarithmic returns
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expecte…
Consumption-portfolio choice with preferences for liquid assets
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates an infinite horizon, discounted, consumption-portfolio problem in a market with one bond, one liquid risky asset, and one illiquid risky asset with proporti…
Optimal management of DB pension fund under both underfunded and overfunded cases
Guohui Guan, Zongxia Liang, Yi Xia
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, th…
A Stackelberg reinsurance-investment game under -maxmin mean-variance criterion and stochastic volatility
Guohui Guan, Zongxia Liang, Yilun Song
This paper investigates a Stackelberg game between an insurer and a reinsurer under the -maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the r…